Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0088
Annualized Std Dev 0.2729
Annualized Sharpe (Rf=0%) -0.0321

Row

Daily Return Statistics

Close
Observations 3916.0000
NAs 1.0000
Minimum -0.1931
Quartile 1 -0.0061
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0075
Maximum 0.2024
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0172
Skewness -0.8799
Kurtosis 22.6427

Downside Risk

Close
Semi Deviation 0.0130
Gain Deviation 0.0120
Loss Deviation 0.0154
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0129
Downside Deviation (0%) 0.0129
Maximum Drawdown 0.7836
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0433
Modified VaR (95%) -0.0244
Modified ES (95%) -0.0244
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-09 NA -0.7836 3475 445 NA
2005-08-31 2005-12-28 2006-10-20 -0.2143 288 83 205
2007-02-27 2007-03-05 2007-03-23 -0.1158 19 5 14
2007-01-05 2007-01-10 2007-01-22 -0.0505 11 4 7
2007-02-05 2007-02-13 2007-02-20 -0.0405 11 7 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA 0 -1.2 -1.1 -2.2 -0.5 -4.9
2006 -0.8 0.4 0.9 0.3 2.6 0.8 0.8 0.7 -0.3 -0.9 0.1 -0.8 3.8
2007 1.4 -3.7 1.7 0.5 1 0.1 -5.8 1.7 2 -1.6 -0.1 1.4 -1.8
2008 2.9 -3.1 3.9 1.2 1.2 0.8 0 -0.4 0.3 2.2 -9.1 2.1 1.4
2009 1.8 -6.5 2 0.7 2.1 2.3 1.5 -2.8 -2.3 -2.3 2.3 0.8 -0.8
2010 1.7 1.2 1.3 -1.7 -1.4 -0.2 0.1 3 1 1.2 1.6 0.8 8.9
2011 1.9 -1 1.5 -0.2 -1.5 0.6 0.4 1.1 -2 -0.4 -0.1 -0.1 0.2
2012 1.3 1.4 1.2 0.5 -1.3 2.6 0.6 0.6 1.7 0.9 0 2.1 12.1
2013 0.5 -0.5 -0.4 -0.8 -1.8 0.2 1 0.8 1.2 -0.1 -0.5 0.9 0.6
2014 -0.1 0.4 0.7 0.1 0.2 0.5 -1.2 0.6 1.9 0.7 -2.6 -0.9 0.3
2015 -1.8 0.8 0.4 -0.1 -0.2 0.5 1.4 -2.2 0.4 1.2 1 -0.3 1.1
2016 1.6 2.7 -0.5 0.5 0.2 1.4 -0.6 0.3 0.7 -1.2 -1.8 0.2 3.5
2017 -0.7 1.6 0.4 0.4 0.4 -0.5 0.2 0.9 1.1 0.6 -0.2 1.3 5.5
2018 -1 -0.9 2.1 -0.7 -0.1 0.9 -0.9 -0.6 1.5 1.2 0.5 0.9 2.7
2019 -0.3 -0.7 1 -0.2 -0.9 0.5 0 -0.9 -0.8 0.4 0 0.2 -1.6
2020 0.2 -4.5 -7.7 -3.4 2.7 1.6 -0.8 -0.2 0.2 -1 -0.6 0.4 -12.6
2021 0.9 2.5 -0.7 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart